Combination of things, thickness is one of them but materials and weight are another. Most guy's riding surfboards are basically trying to emulate surfing but with a kite, that is they use kite to get onto the wave and then basically surf with some use of the kite to get around sections etc. For this reason boards are built basically to maintain the feel of a surfboard, like everything there's trade offs in this with weight, strength and flex being the main ones. There are some boards (or construction methods) that are stronger than others but often you'll find that these don't always feel the same as a surfboard.

Sailboards given the weights of mast etc that they have to carry as well as rider and the speeds and way in which they are intended to be riden are generally built stronger but wear some of that in weight and flex.

Ive been surfing for 35 years now and have never broken a board. I was thinking that it was just a thickness thing, dumb question maybe, but could they not just be made a bit thicker?